I imagine that it can be difficult to be told that you exist in a strictly fictional capacity in some universes if the idea is unfamiliar, yes, but please never feel that it's necessary to avoid these things when you talk to me. I doubt that any possible negative consequences could outweigh the value of what might be learned.
[This reasoning goes both ways, of course. Chekov is happy to share what he knows since the Prime Directive, in his opinion, is not applicable in other universes.]